| Close | |
|---|---|
| Annualized Return | -0.0417 |
| Annualized Std Dev | 0.1745 |
| Annualized Sharpe (Rf=0%) | -0.2391 |
| Close | |
|---|---|
| Observations | 4106.0000 |
| NAs | 1.0000 |
| Minimum | -0.0990 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0042 |
| Maximum | 0.2266 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0110 |
| Skewness | 1.1414 |
| Kurtosis | 60.2977 |
| Close | |
|---|---|
| Semi Deviation | 0.0079 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0096 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0080 |
| Downside Deviation (0%) | 0.0080 |
| Maximum Drawdown | 0.6069 |
| Historical VaR (95%) | -0.0132 |
| Historical ES (95%) | -0.0266 |
| Modified VaR (95%) | -0.0010 |
| Modified ES (95%) | -0.0010 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-12-07 | 2020-03-23 | NA | -0.6069 | 4100 | 3849 | NA |
| 2004-11-26 | 2004-11-26 | 2004-11-30 | -0.0005 | 3 | 1 | 2 |
| 2004-12-01 | 2004-12-01 | 2004-12-02 | -0.0005 | 2 | 1 | 1 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.7 | 0.6 |
| 2005 | 1.3 | 0.1 | -0.3 | 0.1 | 0.3 | -0.6 | -0.9 | 0 | 0.1 | -1.4 | -0.1 | 1.2 | -0.3 |
| 2006 | -1.2 | -0.5 | 0.3 | -0.9 | -1.2 | 0.1 | -0.7 | -0.3 | 1.1 | -0.8 | -0.9 | 0.1 | -4.8 |
| 2007 | -0.3 | -0.7 | -0.3 | -0.4 | -0.5 | 0.6 | -2.7 | 1 | -0.4 | -0.3 | 0.7 | 0.2 | -3 |
| 2008 | 1.4 | -0.6 | 0.1 | -0.6 | -0.3 | -1.6 | 0.3 | 0.2 | 1.3 | 0.2 | -7.5 | 2.2 | -5.1 |
| 2009 | -0.7 | 0.2 | 0.8 | -0.7 | -0.4 | -0.3 | 1.4 | -0.5 | -0.9 | -1.8 | -1 | -0.1 | -4.1 |
| 2010 | -0.3 | 0.4 | -0.3 | -0.2 | -3.1 | -1.1 | 0.1 | -0.2 | -0.8 | -1.8 | 0 | 2.3 | -5 |
| 2011 | -0.6 | -1.8 | 0.2 | 1.3 | -0.5 | -0.2 | 0.6 | -0.3 | -1.2 | -1.9 | -2 | 0.4 | -5.8 |
| 2012 | -0.1 | -0.4 | 0.3 | -0.3 | -1.9 | -0.1 | 1.3 | 0.8 | -2.3 | -1 | -0.1 | 0.2 | -3.5 |
| 2013 | -0.6 | -1 | -1.3 | -0.3 | -1.8 | 0.6 | -2.4 | 0 | -0.5 | -1.3 | 0.9 | -0.6 | -8.2 |
| 2014 | 0.3 | 0.5 | 0.1 | -0.3 | 0.5 | -0.8 | -1.3 | 0.4 | -1.2 | 0 | -2.1 | 1.1 | -2.9 |
| 2015 | -0.2 | -0.1 | -0.8 | -0.9 | -1 | -1.4 | 0.2 | -1.5 | -1 | 0.5 | -0.9 | 0.2 | -6.8 |
| 2016 | -0.5 | 0.7 | -0.7 | 0.5 | -0.1 | -0.3 | -0.4 | -1.8 | 0.2 | -0.5 | -1.7 | 0.7 | -4.1 |
| 2017 | -0.9 | -0.4 | 0.3 | -0.2 | -0.2 | -0.3 | -0.7 | -0.3 | 0.7 | -0.7 | 0.1 | 0.6 | -2.1 |
| 2018 | -0.3 | -1.4 | 0.2 | -0.3 | -1.1 | 0.7 | -1 | -0.2 | -0.8 | -0.2 | 0.8 | 0.4 | -3.3 |
| 2019 | -0.6 | -1.7 | -0.7 | -0.1 | 0 | -0.4 | 0.7 | -0.6 | 0.7 | -0.1 | -0.5 | -0.4 | -3.7 |
| 2020 | 1.7 | -3 | -2.6 | -2.1 | -2.4 | -1.5 | 0.7 | 0.3 | 0.6 | 0 | -0.7 | 0.1 | -8.7 |
| 2021 | -0.7 | -0.1 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-11-24 20.0 SPY 118. 0.00240 -0.00120 0.0619 0.0661 0.122 0.0239 -0.170 GLD 45.0 0.0067 NA
2 2004-11-26 20 SPY 118. -0.0008 -0.0033 0.0485 0.0619 0.117 0.0209 -0.170 GLD 45.3 0.0053 0.0205
3 2004-11-29 20 SPY 118. -0.0046 0.0033 0.0405 0.0659 0.108 0.0206 -0.173 GLD 45.4 0.00240 0.0138
4 2004-11-30 20.0 SPY 118. 0.0007 -0.0008 0.0414 0.061 0.108 0.0401 -0.165 GLD 45.1 -0.0062 0.0038
5 2004-12-01 20.0 SPY 119. 0.0114 0.0091 0.0504 0.0711 0.108 0.038 -0.161 GLD 45.4 0.00580 0.0141
6 2004-12-02 20.0 SPY 119. 0.0008 0.0075 0.0509 0.06 0.112 0.0463 -0.156 GLD 45.0 -0.0095 -0.0022
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>